Basel III Pillar 3 Disclosures
31 December 2022
Table of Contents
PART 2-OVERVIEW OF RISK MANAGEMENT AND RWA........................... 4
KM1-Key metrics (at consolidated group level).................................................................................................. 4
OVA - Bank risk management approach ................................................................................................................ 5
OV1 - Overview of RWA ........................................................................................................................................... 8
PART 3 - LINKAGES BETWEEN FINANCIAL STATEMENTS AND
REGULATORY EXPOSURES ..................................................................... 9
LI1 - Differences between accounting and regulatory scopes of consolidation and mapping of financial
statements with regulatory risk categories .............................................................................................................. 9
LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial
s tatements .................................................................................................................................................................. 10
LIA - Explanations of differences between accounting and regulatory exposure amounts ........................ 10
PART 4 - COMPOSITION OF CAPITAL AND TLAC .................................... 11
CC1 - Composition of regulatory capital .............................................................................................................. 11
CC2 - Reconciliation of regulatory capital to balance sheet ............................................................................. 15
CCA - Main features of regulatory capital instruments and of other TLAC-eligible instruments ............ 16
PART 5 - MACRO PRUDENTIAL SUPERVISORY MEASURES ...................... 22
CCyB1 - Geographical distribution of credit exposures used in the countercyclical buffer ....................... 22
PART 6 - LEVERAGE RATIO ................................................................... 23
LR1 - Summary comparison of accounting assets vs leverage ratio exposure measure .............................. 23
LR2 - Leverage ratio common disclosure template ............................................................................................ 24
PART 7 - LIQUIDITY .............................................................................. 25
LIQA - Liquidity Risk Management .................................................................................................................... 25
LIQ1 - Liquidity Coverage Ratio (LCR) ............................................................................................................. 30
LIQ2 - Net Stable Funding Ratio (NSFR) ........................................................................................................... 32
PART 8 - CREDIT RISK .......................................................................... 34
CRA - General information about credit risk ..................................................................................................... 34
CR1 - Credit quality of assets ................................................................................................................................ 38
CR2 - Changes in stock of defaulted loans and debt securities ........................................................................ 38
CRB - Additional disclosure related to the credit quality of assets ................................................................. 38
CRC - Qualitative disclosure requirements related to credit risk mitigation techniques ............................ 45
CR3 - Credit risk mitigation techniques - overview .......................................................................................... 46
CRD - Qualitative disclosures on banks' use of external credit ratings under the standardized approach
for credit risk ............................................................................................................................................................. 46
CR4 - Standardized approach - credit risk exposure and Credit Risk Mitigation (CRM) effects ............ 48
CR5 - Standardized approach - exposures by asset classes and risk weights ............................................... 49
PART 9 - COUNTERPARTY CREDIT RISK ................................................ 50
CCRA - Qualitative disclosure related to counterparty credit risk ................................................................ 50
Existing derivatives contracts in which SNB is engagedin do not have provisions for posting additional
collaterals in case of a credit rating downgrade. ................................................................................................. 52
CCR1 - Analysis of counterparty credit risk (CCR) exposure by approach ................................................. 52
CCR2 - Credit valuation adjustment (CVA) capital charge ............................................................................. 52
CCR3 - Standardized approach of CCR exposures by regulatory portfolio and risk weights ................... 53
CCR5 - Composition of collateral for CCR exposure ........................................................................................ 54
CCR8 - Exposure to central counterparties ........................................................................................................ 54
PART 10 - SECURITIZATION .................................................................. 55
SECA - Qualitative disclosure requirements related to securitization exposures ......................................... 55
SEC1 - Securitization exposures in the banking book ....................................................................................... 56
SEC4 - Securitization exposures in the banking book and associatedcapital requirements - bank acting
as investor .................................................................................................................................................................. 57
PART 11 - MARKET RISK ....................................................................... 58
MRA - Qualitative disclosure requirements related to market risk .................................................................... 58
MR1 - Market risk under standardized approach ............................................................................................. 60
PART 12 - OPERATIONAL RISK .............................................................. 60
PART 13 - INTEREST RATE IN THE BANKING BOOK ................................. 61
IRRBBA - IRRBB risk management objectives and policies ........................................................................... 61
PART 13 - REMUNERATION ................................................................... 65
Remuneration Design and Structure ..................................................................................................................... 66
Remuneration and Risk ........................................................................................................................................... 66
Linking and Adjusting Remuneration to Performance ..................................................................................... 67
REM1 - Remuneration awarded during the financial year .............................................................................. 68
REM2 - Special payments ...................................................................................................................................... 68
REM3 - Deferred remuneration ............................................................................................................................ 69
APPENDIX ............................................................................................ 70
Part 2 - Overview of Risk Management and RWA
KM1 - Key metrics (at consolidated group level)
SAR '000 |
Available capital (amounts) |
Liquidity Coverage Ratio |
Net Stable Funding Ratio |
Risk-weighted assets (amounts)
Q4 2022 | Q3 2022 | Q2 2022 | Q1 2022 | Q4 2021 | ||
111,851,304 | 108,181,493 | 109,585,888 | 112,657,705 | 110,160,107 | ||
110,539,233 | 106,869,422 | 108,273,817 | 111,345,634 | 108,410,679 | ||
127,338,804 | 123,668,993 | 121,773,388 | 124,845,205 | 122,347,607 | ||
126,026,733 | 122,356,922 | 120,461,317 | 123,533,134 | 120,598,179 | ||
132,551,726 | 129,037,552 | 127,332,764 | 130,463,930 | 127,759,030 | ||
131,239,655 | 127,725,481 | 126,020,693 | 129,151,859 | 126,009,602 | ||
696,082,220 | 691,338,884 | 692,113,673 | 664,634,979 | 665,173,204 | ||
16.07% | 15.65% | 15.83% | 16.95% | 16.56% | ||
15.88% | 15.46% | 15.64% | 16.75% | 16.30% | ||
18.29% | 17.89% | 17.59% | 18.78% | 18.39% | ||
18.11% | 17.70% | 17.40% | 18.59% | 18.13% | ||
19.04% | 18.66% | 18.40% | 19.63% | 19.21% | ||
18.85% | 18.48% | 18.21% | 19.43% | 18.94% | ||
2.50% | 2.50% | 2.50% | 2.50% | 2.50% | ||
0.17% | 0.17% | 0.19% | 0.21% | 0.25% | ||
1.50% | 1.50% | 1.50% | 1.50% | 1.50% | ||
4.17% | 4.17% | 4.19% | 4.21% | 4.25% | ||
11.90% | 11.48% | 11.64% | 12.74% | 12.31% | ||
985,279,925 | 998,468,532 | 1,002,772,384 | 959,602,324 | 962,925,629 | ||
12.92% | 12.39% | 12.14% | 13.01% | 12.71% | ||
12.79% | 12.25% | 12.01% | 12.87% | 12.52% | ||
179,914,135 | 174,937,497 | 179,536,327 | 201,169,069 | 191,702,097 | ||
64,813,952 | 65,661,176 | 73,360,287 | 95,719,543 | 83,372,226 | ||
278% | 266% | 246% | 210% | 230% | ||
18 | Total available stable funding | 634,185,253 | 653,582,428 | 653,801,565 | 661,360,606 | 634,750,137 |
19 | Total required stablefunding | 548,702,675 | 548,725,573 | 545,515,501 | 558,419,639 | 530,443,929 |
20 | NSFR ratio | 116% | 119% | 120% | 118% | 120% |
Basel III Pillar 3 Q4 2022 Disclosures, SNB | Page 4 of 71 |
15 | Total HQLA |
16 | Total net cash outflow |
17 | LCR ratio (%) |
1 | Common Equity Tier 1 (CET1) |
1a | Fully loaded ECL accounting model |
2 | Tier 1 |
2a | Fully loaded ECL accounting model Tier 1 |
3 | Total capital |
3a | Fully loaded ECL accounting model total capital |
Total risk-weighted assets (RWA)
Risk-based capital ratios as a percentage of RWA
Common Equity Tier 1 ratio (%)Fully loaded ECL accounting model Common Equity Tier 1 (%)
Tier 1 ratio (%)
Fully loaded ECL accounting model Tier 1 ratio (%)
7
Total capital ratio (%)
7a
Fully loaded ECL accounting model total capital ratio (%)
Additional CET1 buffer requirements as a percentage of RWA
8 9 10
Capital conservation buffer requirement (2.5% from2019) (%)Countercyclical buffer requirement (%)Bank G-SIB and/or D-SIB additional requirements (%)
11 12
Total ofbank CET1 specific buffer requirements (%) (row 8 + row 9 + row 10)
CET1 available after meeting the bank's minimumcapital requirements (%)
Basel III leverage ratio
13 14
Total Basel III leverage ratio exposure measureBasel III leverage ratio (%) (row 2 / row 13)
14a
Fully loaded ECL accounting model Basel III leverage ratio (%) (row 2a / row13)